Departamento de Economía de la Empresa
http://hdl.handle.net/10016/5
2014-04-19T20:28:02ZOptimal hedging under departures from the cost of carry valuation: evidence from the spanish stock index futures market
http://hdl.handle.net/10016/9853
Optimal hedging under departures from the cost of carry valuation: evidence from the spanish stock index futures market
Lafuente, Juan A.
Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
This paper provides an a~alytical discussion of the optimal hedge ratio when discrepancies between the futures trading price and its theoretical valuation according to the cost-of-carry model occurs. Under the assumption of a geometric Brownian motion for spot prices we model the mispricing by a new specific noise in the theoretical dynamic of futures market. Empirical evidence above the model is provided for the Spanish stock index futures. Ex-post simulations reveal that hedging effectiveness applying the estimated ratio is similar to the achieved with a systematic unitary hedge ratio, the optimal one when a mispricing does not appear. However, a small number of futures contracts is needed.
2000-01-01T00:00:00ZInformation disclosure in optimal auctions
http://hdl.handle.net/10016/18543
Information disclosure in optimal auctions
Ganuza, Juan-José; Penalva, José
Universidad Carlos III de Madrid. Instituto para el Desarrollo Empresarial (INDEM)
A celebrated result in auction theory is that the optimal reserve price in the standard private
value setting does not depend on the number of bidders. We modify the framework by considering
that the seller controls the accuracy with which bidders learn their valuations, and show that in
such a case, the greater the number of bidders the more restrictive the reserve price. We also
show that the auctioneer provides more information when using an optimal auction mechanism
than when the object is always sold.
2014-03-01T00:00:00ZA resource pool for environmental innovation
http://hdl.handle.net/10016/18339
A resource pool for environmental innovation
Kunapatarawong, Rasi; Martínez-Ros, Ester
Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
This paper reports research on the relationship between sourcing strategy of a firm and its environmental innovation propensity. The data is taken from the Spanish TechnologicalInnovation Panel (PITEC) survey during the period of 2007-2011. The uniqueness of the Spanish innovation structure and the increasing relevance of environmental issues for the Spanish economy make it a proper setting to investigate environmental innovation dynamics. The results from 5,352 firms indicate that large firms are more likely to undertake environmental innovation than small- and medium-sized firms (SMEs). These firms rely quite equally on all four sources of knowledge &- internal, market, institutional and freely-available sources &- when deciding to develop environmental innovation. The broad horizons with respect to knowledge sources are likely to increase firms' propensity to introduce environmental innovation. In addition, weprovide the evolutionary nature of firm's innovation search as firms grow in size. Small firmsrely on both internal and freely-available sources rather equally, while internal source is the most relevant for medium firms, and market is the most important source used by large firms indriving environmental innovation. Particularly important is how firms who are already innovators and who receive local funding from the Spanish government are more likely to introduce environmental innovation.
2014-02-01T00:00:00ZGood deals in markets with friction
http://hdl.handle.net/10016/18157
Good deals in markets with friction
Balbás, Alejandro; Balbás, Beatriz; Balbás, Raquel
This paper studies an optimization problem involving pay-offs of (perhaps dynamic) investment
strategies. The pay-off is the decision variable, the expected pay-off is maximized and its risk is
minimized. The pricing rule may incorporate transaction costs and the risk measure is continuous,
coherent and expectation bounded.We will prove the necessity of dealing with pricing rules such that
there exists an essentially bounded stochastic discount factor that must also be bounded from below
by a strictly positive value. Otherwise, good deals will be available to traders, i.e. depending on the
selected risk measure, investors can choose pay-offs whose (risk, return) will be as close as desired
to (−1,1) or (−1,1). This pathological property still holds for vector risk measures (i.e. if we
minimize a vector-valued function whose components are risk measures). It is worth pointing out that,
essentially, bounded stochastic discount factors are not usual in the financial literature. In particular,
the most famous frictionless, complete and arbitrage-free pricing models imply the existence of good
deals for every continuous, coherent and expectation bounded (scalar or vector) measure of risk, and
the incorporation of transaction costs will not guarantee the solution of this caveat
2013-06-01T00:00:00Z